StockFetcher Forums · View by Author: Kevin_in_GA (3,450 messages) ·  [ Display By: Date / Subject ]<< 1 2 3 4 5 ... 345 >> 
General Discussion · Discussion: How are YOU Gonna play a Bear market?
Kevin_in_GA
msg #123362
3/26/2015 5:32:52 PM

Your goal is not to make money in a bear market, but to protect current assets. Too much of a trader's perspective, not thinking about wealth accumulation. Just my personal spin on things, which has evolved over my time here to more of a longer term investment mindset.

General Discussion · Discussion: How are YOU Gonna play a Bear market?
Kevin_in_GA
msg #123355
3/26/2015 2:42:33 PM

AGG. My definition of a Bear market would be when the 6 month ROC of AGG is above the 6 month ROC of SPY. When that happens, move into AGG and wait until the 6 month ROC of SPY rises back above that of AGG.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #123341
3/25/2015 8:47:16 PM

I am using an even simpler system - just SPY or AGG. Based on my SS optimization the best look-back period was 6 months. Even after today's drubbing it still says to stay in SPY right now. We'll see at the end of the month.

My guess is that no one here on SF will use this, since the frequency with which you re-allocate is only once or twice a year. Probably too boring even though it will beat most faster-paced strategies.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #123335
3/25/2015 5:00:55 PM

The code for this is pretty simple - I will repost it here:

Fetcher[
symlist(spy,iwm,efa,agg)

sort on column 5 descending

offset 63 days
]



Just invest in the top performer. No additional code needed. The Stratasearch code was developed for optimizing the look-back period, which remains at 3 months as the best performer. Just us this simple code at the end of each month.

General Discussion · how to make setup for pullback stock?
Kevin_in_GA
msg #123332
3/25/2015 3:12:35 PM

Try this:

Close is above 40

close above 40

and The stock’s average daily volume over the past 21 days (one trading month) at least 250,000 shares per day.

average volume(21) above 250000

and The stock’s 10-day Average Directional Index (ADX) above 30.

ADX(10) above 30

and today the stock’s lowest price at least 2% below the previous day’s close.

low more than 2% below close 1 day ago

and Today’s close is in the bottom 25% of the day’s range.

Close is below Day Position(0.25,1)

and The ConnorsRSI value of the stock below 5.

Connors RSI(3,2,100) below 5

Final Comment - download and read the users manual. All of this (and a lot more) is in there. Also read other people's filters and posts to learn how to code in SF. Take existing filters and play with them to see what changes affect the outcomes. Make an effort to learn the code here and others will be more than willing to help you in along that journey. It is not hard to do.


General Discussion · Historical Data by Sector?
Kevin_in_GA
msg #123317
3/23/2015 8:29:53 PM

Sure.

First, you will need to create a custom script - this is basically a user-defined set of calculations which can include comparisons and "if" statements. Create a new Custom Formula and name it "WeeklyRank". The code is as follows:

parm1 = parameter("parm1");

r = 0;
r = r + if(period(weekly, proc(close,parm1)) > symbol(XLU, period(weekly, proc(close,parm1))),1,0);
r = r + if(period(weekly, proc(close,parm1)) > symbol(XLI, period(weekly, proc(close,parm1))),1,0);

WeeklyRank = 2 - r;


Now create a new Strategy as follows:

Entry String:

WeeklyRank(@1weeks) = 1 and

period(weekly,proc(close,@1weeks)) > 0


Exit String:

WeeklyRank(@1weeks) > 1


Variables:

@1weeks 1 to 52 by 1

The exit is always at the market open the next day (beginning of the following week).

This will run all 52 time periods and show you how each look back period performed during the period of the backtest.

Finally you need to create a new sector - call it "XLI and XLU" and put into it only XLI and XLU. That is the sector against which this filter is run to get the correct results.

Enjoy.


Filter Exchange · Weekly Engulfing Candles with Tails
Kevin_in_GA
msg #123293
3/21/2015 2:26:51 PM

Range as in,

the high of the current week is above the previous week's high,
and the low of the current week is below the previous week's low.

On a weekly chart using weekly candles
++++++++++++++++++

Fetcher[

weekly high above weekly high 1 week ago
weekly low below weekly low 1 week ago
chart-display is weekly
]



General Discussion · gap up stocks
Kevin_in_GA
msg #123289
3/21/2015 9:48:04 AM

Consider this approach:

http://www.stockfetcher.com/forums/Filter-Exchange/BUYING-THE-DIP/113409



Filter Exchange · Weekly Engulfing Candles with Tails
Kevin_in_GA
msg #123288
3/21/2015 8:47:59 AM

This might help:

http://www.stockfetcher.com/forums/Filter-Exchange/Tails-ODRs-ROCdiv-OH-MY/80806

The credit for this code goes to Alf. This is a set of code that finds either topping or bottoming tails.

/* Tails */

/* Bottoming Tails */

/* Consecutive Down Days */
set{daysClose_Down, days(Close above Close 1 day ago,100)}

set{RangeA, High - Low}
set{MinCloOp, min(Close,Open)}
set{TailRngA, MinCloOp - Low}
set{TailRatioA, TailRngA / RangeA}

set{Tail_A, count(daysClose_Down 1 day ago above 1, 1)}
set{Tail_B, count(Low is below MinCloOp, 1)}
set{Tail_C, count(TailRatioA is above .50, 1)}
set{Tail_D, count(Close below EMA(10) , 1)}
set{Tail_1, Tail_A * Tail_B}
set{Tail_2, Tail_1 * Tail_C}
set{TailBot, Tail_2 * Tail_D}
/* ---------- */

/* Topping Tails */

/* Consecutive Up Days */
set{daysClose_Up, days(Close below Close 1 day ago,100)}

set{RangeAA, High - Low}
set{MaxCloOp, max(Close,Open)}
set{TailRngAA, High - MaxCloOp}
set{TailRatioAA, TailRngAA / RangeAA}

set{Tail_AA, count(daysClose_Up 1 day ago above 1, 1)}
set{Tail_BB, count(High is above MaxCloOp, 1)}
set{Tail_CC, count(TailRatioAA is above .50, 1)}
set{Tail_DD, count(Close above EMA(10), 1)}
set{Tail_11, Tail_AA * Tail_BB}
set{Tail_22, Tail_11 * Tail_CC}
set{TailTop, Tail_22 * Tail_DD}
/* ---------- */

/* Tails Top OR Bottom */
set{Tail_topORbot, TailBot + TailTop}
/* ---------- */


Filter Exchange · One month performance
Kevin_in_GA
msg #123282
3/20/2015 4:39:06 PM

No filter will give you future data unless you use the "offset" feature. Even then, it is the same as running the filter one month LATER than your date and simply looking at the ROC(21,1).

For one month of trading, remember that there are 21 trading days per calendar month, not 30.

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